Do something to justify using the Heresy rules over just an optimized codex list, which means take the cool units (jetbikes, etc) and large squads that you can't do with a codex list. I don't mean taking a random pile of units with no strategic plan, but you really want to focus your list around some of the fun Heresy-only stuff. Otherwise what's the point?
Oh, and don't bother trying to optimize it as much as possible. The Heresy rules are not part of the standard game and can only be used if you and your opponent specifically agree to play a special game with them, so if you show up with a list that is clearly "I found a broken Heresy unit, now I'm going to win" your opponent is just going to refuse to give you special permission to use it. Take a variety of units and do something fun, even if it means taking things that aren't quite as point-efficient as the best codex lists.
TheCaptain wrote:Besides; you're not going to get too many opponents that are excited to fight a Primarch until more of them out and the
HH lists have more exposure.
This. Primarchs are meant to be used in games where your opponent has something equally powerful in their army, and most people don't have the models available to do that. I suppose you can include a primarch in your collection, but don't base your entire army concept around having the primarch in your list every game because most people aren't going to give you the special permission required to use it.
The same applies to the superheavy tanks, but to a lesser degree. Your opponent should still have something big of their own available, but they're much less powerful and a lot less likely to just tear through unit after unit with little chance of stopping them. And of course the weak ones (hello Malcador, you're still worse than your points in Leman Russes) are bad enough that your opponent will probably thank you for bringing it.